public System.Collections.Generic.List<DataFeed> GetDataFeed(PricingLibrary.FinancialProducts.IOption option, System.DateTime fromDate)
{
System.Collections.Generic.List<DataFeed> result = new System.Collections.Generic.List<DataFeed>() ;
using (DataBaseDataContext mtdc = new DataBaseDataContext())
{
var result1 = (from s in mtdc.HistoricalShareValues where ((option.UnderlyingShareIds.Contains(s.id)) && (s.date >= fromDate)&&(s.date<=option.Maturity)) select s).OrderByDescending(d => d.date).ToList();
System.DateTime curentdate = result1[result1.Count() - 1].date;
System.Collections.Generic.Dictionary<String, decimal> priceList = new System.Collections.Generic.Dictionary<String, decimal>();
for (int i = result1.Count() - 1; i >= 0 ; i--)
{
if (result1[i].date==curentdate)
{
priceList.Add(result1[i].id.Trim(), result1[i].value);
}
else
{
DataFeed datafeed = new DataFeed(curentdate, priceList);
result.Add(datafeed);
curentdate = result1[i].date;
priceList = new System.Collections.Generic.Dictionary<String, decimal>();
priceList.Add(result1[i].id.Trim(), result1[i].value);
}
if (i == 0)
{
DataFeed datafeedOut = new DataFeed(curentdate, priceList);
result.Add(datafeedOut);
}
}
return result;
}
}
// On initialise la classe
public ShareHisto(System.DateTime startDate, System.DateTime maturityDate, PricingLibrary.FinancialProducts.IOption product)
{
this._Data = new List<PricingLibrary.Utilities.MarketDataFeed.DataFeed>();
this.startDate = startDate;
this.maturityDate = maturityDate;
this._product = product;
}
// Permet de price un produit selon les paramètres d'entrée
public PricingLibrary.Computations.PricingResults priceProduct(PricingLibrary.FinancialProducts.IOption Product, DateTime date, double[] spot, double[] volatility, bool simulated, double[,] correlationMatrix = null)
{
int nbDays = 0;
if (simulated)
{
nbDays = 365;
}
else
{
nbDays = 250;
}
if (Product is PricingLibrary.FinancialProducts.VanillaCall)
{
return this.pricer.PriceCall((PricingLibrary.FinancialProducts.VanillaCall)Product, date, nbDays, spot[0], volatility[0]);
}
else
{
return this.pricer.PriceBasket((PricingLibrary.FinancialProducts.BasketOption)Product, date, nbDays, spot, volatility, correlationMatrix);
}
}
// Renvoie la liste des sous-jacents d'une option s'ils existent
public System.Collections.Generic.List<PricingLibrary.FinancialProducts.Share> getUnderlyingShares(PricingLibrary.FinancialProducts.Option option)
{
System.Collections.Generic.List<PricingLibrary.FinancialProducts.Share> underlyingShares = new System.Collections.Generic.List<PricingLibrary.FinancialProducts.Share>();
System.Collections.Generic.Dictionary<String, String> UnderlyingSharesNames = new System.Collections.Generic.Dictionary<String, String>();
using (DataBaseDataContext mtdc = new DataBaseDataContext())
{
UnderlyingSharesNames = (from s in mtdc.ShareNames where (option.UnderlyingShareIds.Contains(s.id)) select s).ToDictionary(s => s.name, s => s.id);
}
for (int index = 0; index < UnderlyingSharesNames.Count; index++)
{
var item = UnderlyingSharesNames.ElementAt(index);
String itemKey = item.Key;
String itemValue = item.Value.TrimEnd();
PricingLibrary.FinancialProducts.Share share = new PricingLibrary.FinancialProducts.Share(itemKey, itemValue);
underlyingShares[index] = share;
}
return underlyingShares;
}
public VanillaCompositionProvider(PricingLibrary.FinancialProducts.Option vanillaCall)
{
_option = (PricingLibrary.FinancialProducts.VanillaCall)vanillaCall;
}
public BasketCompositionProvider(PricingLibrary.FinancialProducts.Option basketOption)
{
_option = (PricingLibrary.FinancialProducts.BasketOption)basketOption;
}
